If I'm locked in a challenge and the rest of my unit is whipped out do I still roll to break if the hero in the challenge is the only one left? Does everything else get ignored until the challenge is resolved?
Challenge -> Regular combat -> Combined combat results. Even though the unit is gone, he's still part of the combat. You may be the best fighter in the world, but watching your 30 best buds get turned into red paste and bone chips is demoralizing.
Unless, of course, you spent some gold on a shiny new crown of command. In that case, you will be holding up the enemy death star just about until your last breath
I used the crown of command on a old blood on a cold one geared to the nines for survival for the first time the other day (1+ re-rollable, 4+ ward, had a BSB nearby (which wasn't necessary)) and ran him at a horde of lothern seaguard. Loved the opponent's look when he realized that his 50 elves, 2 mages and 1 character with the 3 shot bow wasn't going anywhere for a lonnnng time.